Signals & Systems

Lecture 9 – Correlation, Energy Spectral

Density, and Power Spectral Density

Alp Ertürk
alp.erturk@kocaeli.edu.tr
Signal Energy & Power
• Signal energy & power:

𝐸= 𝑥(𝑡) 2 𝑑𝑡
−∞

𝑇
1
𝑃 = lim 𝑥(𝑡) 2 𝑑𝑡
𝑇→∞ 2𝑇
−𝑇
Signal Energy & Power
• A signal is called an energy signal if 𝐸 < ∞

• A signal is called a power signal if 0 < 𝑃 < ∞

• A signal can be an energy signal, a power signal or neither.

• But a signal cannot be both an energy signal and a power

signal
Correlation
• The correlation function between two signals x(t) and y(t) is
defined as:
∞

𝜙𝑥𝑦 𝑡 = 𝑥 𝜏 𝑦 ∗ 𝑡 + 𝜏 𝑑𝜏
−∞

• This is also referred as cross-correlation

• The function 𝜙𝑥𝑥 𝑡 is referred as autocorrelation

Correlation
• The correlation function between two energy signals:

𝑅𝑥𝑦 𝜏 = 𝑥 𝑡 𝑦 ∗ 𝑡 + 𝜏 𝑑𝑡
−∞

is equal to the area under the product of these two signals, as a

function of how much y is shifted with respect to x
Correlation
• Cross-correlation is a measure of similarity of two signals as a
function of the time shift of one relative to the other

• Cross-correlation is often used for searching a long signal for a

shorter feature / signal

• It can also be used to compare the similarity of two signals

Correlation
Correlation

• v(t) contains u(t) with an unknown delay and an added noise

Correlation
• Cross-correlation of u(t) and v(t) gives w(t). The lag between
the signals is found as t = 450
Correlation
• The signal y(t) below is the signal v(t) with even more noise.
The cross-correlation of u(t) and y(t) is found as z(t) below
Correlation
• Cross-correlation is similar to convolution
Correlation
• If h(t) is real:
∞ ∞

𝑅𝑥ℎ 𝜏 = 𝑥 𝑡 ℎ 𝑡 + 𝜏 𝑑𝑡 = 𝑥 𝜆 − 𝜏 ℎ 𝜆 𝑑𝜆
−∞ −∞

∞ ∞

𝑅ℎ𝑥 𝜏 = ℎ 𝑡 𝑥 𝑡 + 𝜏 𝑑𝑡 = ℎ 𝜆 − 𝜏 𝑥 𝜆 𝑑𝜆
−∞ −∞

= ℎ 𝑢 𝑥 𝑢 + 𝜏 𝑑𝜆
−∞

𝑅ℎ𝑥 𝜏 = 𝑅𝑥ℎ −𝜏
Correlation of Energy Signals
• The correlation function between two energy signals, when x and y are both
real: ∞

𝑅𝑥𝑦 𝜏 = 𝑥 𝑡 𝑦 𝑡 + 𝜏 𝑑𝑡
−∞

• This is very similar to the convolution of two real energy signals:

∞

𝑥 𝑡 ∗𝑦 𝑡 = 𝑥 𝜏 𝑦 𝑡 − 𝜏 𝑑𝜏
−∞

• Therefore it is possible to use convolution to find the correlation:

∞ ∞

𝑅𝑥𝑦 𝜏 = 𝑥 −𝜏 ∗ 𝑦 𝜏 = 𝑥 −𝜆 𝑦 𝜏 − 𝜆 𝑑𝜏 = 𝑥 𝑢 𝑦 𝜏 + 𝑢 𝑑𝑢
−∞ −∞
Correlation of Energy Signals
• Therefore it is possible to use convolution to find the correlation:

𝑅𝑥𝑦 𝜏 = 𝑥 −𝜏 ∗ 𝑦 𝜏

• In Fourier Domain:

𝐹
𝑅𝑥𝑦 𝜏 𝑋 ∗ 𝑓 𝑌(𝑓)
Correlation of Power Signals
• The correlation function between two power signals is the
average value of the product of 𝑥 and 𝑦 ∗ as a function of how
much 𝑦 ∗ is shifted relative to x

1
𝑅𝑥𝑦 𝜏 = lim 𝑥 𝑡 𝑦 ∗ 𝑡 + 𝜏 𝑑𝑡
𝑇→∞ 𝑇
𝑇

• If both signals are periodic and their fundamental periods have

a finite least common period:

1
𝑅𝑥𝑦 𝜏 = 𝑥 𝑡 𝑦 ∗ 𝑡 + 𝜏 𝑑𝑡
𝑇
𝑇
Correlation of Power Signals
• If both signals are periodic and their fundamental periods have
a finite least common period:

1
𝑅𝑥𝑦 𝜏 = 𝑥 𝑡 𝑦 ∗ 𝑡 + 𝜏 𝑑𝑡
𝑇
𝑇

• For real periodic signals, this equation becomes:

1
𝑅𝑥𝑦 𝜏 = 𝑥 𝑡 𝑦 𝑡 + 𝜏 𝑑𝑡
𝑇
𝑇
Autocorrelation
• Autocorrelation for energy signals:

𝑅𝑥𝑥 𝜏 = 𝑥 𝑡 𝑥 ∗ 𝑡 + 𝜏 𝑑𝑡
−∞

• At a shift of 0, we get:
∞

𝑅𝑥𝑥 0 = 𝑥(𝑡) 2 𝑑𝑡
−∞
Autocorrelation
• Autocorrelation for power signals:

1
𝑅𝑥𝑥 𝜏 = lim 𝑥 𝑡 𝑥 ∗ 𝑡 + 𝜏 𝑑𝑡
𝑇→∞ 𝑇
𝑇

• Average signal power:

1
𝑅𝑥𝑥 0 = lim 𝑥(𝑡) 2 𝑑𝑡 = 𝑃𝑥
𝑇→∞ 𝑇
𝑇
Properties of Autocorrelation
• For real signals, autocorrelatio is an even function

𝑅𝑥𝑥 𝜏 = 𝑅𝑥𝑥 −𝜏

• Autocorrelation magnitude can never be larger than it is at

zero shift:
𝑅𝑥𝑥 0 ≥ 𝑅𝑥𝑥 𝜏

• If a signal is time shifted, its autocorrelation does not change

• The autocorrelation of a sum of sinusoids of different

frequencies is the sum of the autocorrelation of the individual
sinusoids
Autocorrelation examples
Autocorrelation examples
• Autocorrelation for a cosine and a sine:
Autocorrelation examples
• Autocorrelation for a cosine burst and a sine burst
Autocorrelation examples
• Autocorrelation for a cosine burst and a sine burst
Autocorrelation examples
• Three random power signals and their autocorrelations:
Autocorrelation examples
• Four different random signals with identical autocorrelations:
Autocorrelation examples
• Four different random signals with identical autocorrelations:
Autocorrelation examples
• Four different random signals with identical autocorrelations:
Matched Filters
• Matched filter is a useful technique for detecting the
presence of a signal of a certain shape in the presence of
noise

• Matched filters use correlation to detect the signal

• Often used to detect 1’s and 0’s in a binary data stream

Matched Filters
• The optimal filter to detect a noisy signal is one whose
impulse response is proportional to the time inverse of the
signal
Matched Filters
• Even in the presence of a large additive noise signal, the
matched filter below indicates the presence of a 1 and the
presence of a 0
Energy Spectral Density
• Total signal energy in an energy signal:
∞ ∞

𝐸𝑥 = 𝑥(𝑡) 2 𝑑𝑡 = 𝑋(𝑓) 2 𝑑𝑓
−∞ −∞

• The quantity 𝑋(𝑓) 2 is called the energy spectral density

(ESD) of the signal x, and conventionally given the symbol, Ψ

Ψ 𝑓 = 𝑋(𝑓) 2
Energy Spectral Density
• Energy spectral density (ESD):

2
Ψ 𝑓 = 𝑋(𝑓)

• For an energy signal, ESD and autocorrelation form a Fourier

transform pair.

𝐹
𝑅𝑥 𝑡 Ψ𝑥 𝑓

• If x is a real-valued signal, ESD is even, non-negative and real

Energy Spectral Density
• The ESD of the response of an LTI system is related to the
ESD of the system by:

Ψ𝑦 𝐹 = 𝐻(𝐹) 2 Ψ𝑥 𝐹 = 𝐻(𝐹)𝐻 ∗ (𝐹)Ψ𝑥 𝐹

Power Spectral Density
• Power spectral density (PSD) applies to power signals in the
same way that energy spectral density applies to energy
signals.

• The PSD of a signal x is conventionally indicated by 𝐺𝑥 𝑓

• For an power signal, PSD and autocorrelation form a Fourier

transform pair.

• For an LTI system:

𝐺𝑦 𝐹 = 𝐻(𝐹) 2 𝐺𝑥 𝐹 = 𝐻(𝐹)𝐻 ∗ (𝐹)𝐺𝑥 𝐹